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Re: st: whitetst


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, andi_10@gmx.net
Subject   Re: st: whitetst
Date   Sat, 16 Nov 2002 17:18:04 +0000 (GMT)

Andreas,

Quoting andi_10@gmx.net:

> I made for my data a "hettest" and a "whitetst" to control for 
> heteroskedasticity. While the hettest affirm heteroskedasticity (Prob > 
> chi2  =  0.0185) the whitetst assigns a p-Value of   .6381. What does 
> this mean? Is my sample heteroskedastic or homoskedastic? What's the
> null hypothesis of whitetst? If the null hypothesis is homoskedasticity 
> there is a contradiction in the two test results, isn't it? What's the 
> explanation for this?
> Thank you for your help!
> Andreas

hettest uses a version of the test that assumes normality; whitetst relaxes 
this assumption.  The null of the two tests is the same (homoskedastic 
errors).  A number of texts note the sensitivity of the former test to the 
normality assumption and hence recommend the latter.

I'm assuming that the indicator variables hypothesised as related to the 
heteroskedasticity were the same in the two tests you did.  (If you're not 
sure what I mean by this, have a look at -help ivhettest-, which does these 
tests for OLS regressions plus others for IV regressions.)

Hope this helps.

--Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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